Browsing Department of Economics (MU) by Title "A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels"
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A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels
(Berkeley Electronic Press, 2010)A test for the rank of a vector error correction model (VECM) or panel VECM based on the well-known trace test is proposed. The proposed test employs instrumental variables (IV's)generated by a class of nonlinear functions ...